1. Technical Field
This invention relates to financial analysis tools, and more particularly to a computer implemented system and method for generating cross-sectional volatility indexes for populations of investable assets.
2. Background Information
Throughout this application, various publications, patents and published patent applications are referred to by an identifying citation. The disclosures of the publications, patents and published patent applications referenced in this application are hereby incorporated by reference into the present disclosure.
A wide variety of systems and methods have been developed for analyzing risk and predicting performance of financial products, many of which attempt to consider volatility. For example, call and put options or futures contracts may be used to attempt to predict market volatility. In addition, volatility indexes or portfolios may be provided, e.g., which attempt to rebalance various components in order to maintain a predetermined level of risk or volatility. Still further, the concept of cross sectional volatility is known, and may be expressed as the standard deviation of the daily returns of all the stocks trading in the market.
Volatility is thus a well known concept, that is routinely considered when making investment decisions. However, none of the known approaches provides users, such as mutual fund managers and other financial professionals, with a quick and convenient tool and method for identifying specific populations of assets, such as those of specific regions, sectors, sizes, and/or styles, that may be relatively strong candidates for active rather than passive management.
Thus, a need exists for a system and method that addresses the aforementioned unresolved issues.